tq_performance: Computes a wide variety of summary performance metrics from...

In tidyquant: Tidy Quantitative Financial Analysis

Computes a wide variety of summary performance metrics from stock or portfolio returns

Description

Asset and portfolio performance analysis is a deep field with a wide range of theories and methods for analyzing risk versus reward. The PerformanceAnalytics package consolidates many of the most widely used performance metrics as functions that can be applied to stock or portfolio returns. tq_performance implements these performance analysis functions in a tidy way, enabling scaling analysis using the split, apply, combine framework.

Usage

tq_performance(data, Ra, Rb = NULL, performance_fun, ...)

tq_performance_(data, Ra, Rb = NULL, performance_fun, ...)

tq_performance_fun_options()

Arguments

data	A tibble (tidy data frame) of returns in tidy format (i.e long format).
Ra	The column of asset returns
Rb	The column of baseline returns (for functions that require comparison to a baseline)
performance_fun	The performance function from PerformanceAnalytics. See tq_performance_fun_options() for a complete list of integrated functions.
...	Additional parameters passed to the PerformanceAnalytics function.

Details

Important concept: Performance is based on the statistical properties of returns, and as a result this function uses stock or portfolio returns as opposed to stock prices.

tq_performance is a wrapper for various PerformanceAnalytics functions that return portfolio statistics. The main advantage is the ability to scale with the tidyverse.

Ra and Rb are the columns containing asset and baseline returns, respectively. These columns are mapped to the PerformanceAnalytics functions. Note that Rb is not always required, and in these instances the argument defaults to Rb = NULL. The user can tell if Rb is required by researching the underlying performance function.

... are additional arguments that are passed to the PerformanceAnalytics function. Search the underlying function to see what arguments can be passed through.

tq_performance_fun_options returns a list of compatible PerformanceAnalytics functions that can be supplied to the performance_fun argument.

Value

Returns data in the form of a tibble object.

See Also

• tq_transmute() which can be used to calculate period returns from a set of stock prices. Use mutate_fun = periodReturn with the appropriate periodicity such as period = "monthly".

• tq_portfolio() which can be used to aggregate period returns from multiple stocks to period returns for a portfolio.

• The PerformanceAnalytics package, which contains the underlying functions for the performance_fun argument. Additional parameters can be passed via ....

Examples

# Load libraries
library(dplyr)

# Use FANG data set

# Get returns for individual stock components grouped by symbol
Ra <- FANG %>%
    group_by(symbol) %>%
    tq_transmute(adjusted, periodReturn, period = "monthly", col_rename = "Ra")

# Get returns for SP500 as baseline
Rb <- "^GSPC" %>%
    tq_get(get  = "stock.prices",
           from = "2010-01-01",
           to   = "2015-12-31") %>%
    tq_transmute(adjusted, periodReturn, period = "monthly", col_rename = "Rb")

# Merge stock returns with baseline
RaRb <- left_join(Ra, Rb, by = c("date" = "date"))

##### Performance Metrics #####

# View options
tq_performance_fun_options()

# Get performance metrics
RaRb %>%
    tq_performance(Ra = Ra, performance_fun = SharpeRatio, p = 0.95)

RaRb %>%
    tq_performance(Ra = Ra, Rb = Rb, performance_fun = table.CAPM)

tidyquant documentation built on Sept. 11, 2024, 7:29 p.m.